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The exponent expansion : an effective approximation of transition probabilities of diffusion processes and pricing Kernels of financial derivatives

Capriotti, Luca - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1179-1200

Persistent link: https://www.econbiz.de/10003395996

A path-integral approximation for non-linear diffusions

Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36

Persistent link: https://www.econbiz.de/10012194852

AAD and Least-Square Monte Carlo : Fast Bermudan-Style Options and XVA Greeks

Capriotti, Luca - 2017

We show how Adjoint Algorithmic Differentiation (AAD) can be used to calculate price sensitivities in regression-based Monte Carlo methods reliably and orders of magnitude faster than with standard finite-difference approaches. We present the AAD version of the celebrated least-square algorithms...

Persistent link: https://www.econbiz.de/10012968069

An effective approximation for zero-coupon bonds and arrow-debreu prices in the Black-Karasinski model

Stehlíková, Beáta; Capriotti, Luca - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-16

Persistent link: https://www.econbiz.de/10010438534

Approximation methods for inhomogeneous geometric Brownian motion

Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10012012939

15 years of Adjoint Algorithmic Differentiation (AAD) in finance

Capriotti, Luca; Giles, Mike - In: Quantitative finance 24 (2024) 9, pp. 1353-1379

Persistent link: https://www.econbiz.de/10015196929